This paper considers a world in which pension funds may default, the cost of the associated risk of default is not borne fully by the sponsoring corporation, and there are differential tax effects. The focus is on ways in which the wealth of the shareholders of a corporation sponsoring a pension...

This paper provides a formal setting for the analysis of the capital adequacy of an institution with deposits insured by a third party. An insured depositor has a claim against the institution and a contingent claim against the insurer. This paper analyzes the effect of the riskiness of the...

The first part of this paper provides a historical perspective on bank risks. Five-year moving average measures of total risk, market risk, and nonmarket risk are computed for an index of New York banks from 1929-1975 and for an index of outside New York banks from 1950-1976.We use a carefully...

Generalizing earlier work on staffing and routing in telephone call centers, we consider a processing network model with large server pools and doubly stochastic input flows. In this model the processing of a job may involve several distinct operations. Alternative processing modes are also...

Consider a firm that markets multiple products, each manufactured using several resources representing various types of capital and labor, and a linear production technology. The firm faces uncertain product demand and has the option to dynamically readjust its resource investment levels,...